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94 Papers in 2006

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The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

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The minimum weight feedback vertex set problem (FVS) on series-parallel graphs can be solved in <i>O(n)</i> time by dynamic programming. This solution, howev...

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We present and compare three new compact linearizations for the quadratic 0-1 minimization problem, two of which achieving the same lower bound than the "sta...

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This paper explores the design modelling issues of the Petaweb, an optical network architecture that provides fully meshed connectivity between electronic...

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This paper proposes a way to combine the Mesh Adaptive Direct Search (MADS) algorithm, which extends the Generalized Pattern Search (GPS) algorithm, with th...

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We consider the problem of assigning patients to nurses for home care services. The aim is to balance the workload of the nurses while avoiding long travels...

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We develop a nonparametric Bayesian functional estimation method, using monotone wavelet approximation, for hazard estimation from randomly right censored d...

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This paper presents two new results on the enumeration of all extreme equilibria of the sequence form of a two person extensive game. The sequential form of...

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The integrated aircraft routing and crew pairing problem consists in determining a minimum-cost set of aircraft routes and crew pairings such that each flig...

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We modify a model of climate and economy to address the effects of the reduction in atmospheric pollutants which occurs as a result of climate change mitiga...

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Dans cet article, nous présentons une application de la modélisation mathématique et de l'optimisation comme outils d'aide à la décision pour le gestionnair...

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The <i>Dial-a-Ride Problem</i> (DARP) consists of designing vehicle routes and schedules for <i>n</i> users who specify pickup and delivery requests between...

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Let <i>G = (V,E)</i> be a graph with vertex set <i>V</i> and edge set <i>E</i>. The <i>k</i>-coloring problem is to assign a color (a number chosen in {1,.....

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We characterize in this paper the credibility of linear-incentive equilibrium strategies for the class of linear-quadratic differential games. This class is...

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In this paper, we consider testing the location parameter with multilevel (or hierarchical) data. A general family of weighted test statistics are introduced...

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This paper deals with the class of continuous-time singular linear systems with random abrupt changes. The state feedback stabilization and its robustness f...

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This paper deals with the problem of guaranteed cost control for uncertain neutral stochastic systems. The parameter uncertainties are assumed to be time-va...

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We study two basic problems of probabilistic reasoning: the probabilistic logic and the probabilistic entailment problems. The first one can be defined as f...

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In this paper, the general problem of chemical process optimization defined by a computer simulation is formulated. It is generally a nonlinear, non-convex,...

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We consider four conjectures related to the largest eigenvalue of (the adjacency matrix of) a graph (i.e., to the index of the graph). Three of them have be...

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From the pentagon onwards, the area of the regular convex polygon with <i>n</i> sides and unit diameter is greater for each odd number <i>n</i> than for the...

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Given a set of timetabled tasks, the multi-depot vehicle scheduling problem is a wellknown problem that consists of determining least-cost schedules for veh...

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A set of vertices <i>S</i> in a graph <i>G</i> is independent if no neighbor of a vertex of <i>S</i> belongs to <i>S</i>. The independence number &alpha is ...

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We consider a marketing channel where a retailer sells, along the manufacturer’s brand, her own private label. We assume that each player invests in adverti...

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In one-to-one <i>Pickup and Delivery Problems</i> (PDPs), the aim is to design a set of least cost vehicle routes starting and ending at a common depot in o...

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The dynamic routing problem for Overlapped Segment Shared Protection in multi-domain networks has not received a lot of interest so far as it is more difficu...

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We introduce <i>TestU01</i>, a software library implemented in the ANSI C language, and offering a collection of utilities for the empirical statistical te...

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A popular approach for modeling dependence in a finite-dimensional random vector <b>X</b> with given univariate marginals is via a normal copula that fits t...

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The value <img src="/cgi-bin/mimetex.cgi?\frac{1}{2n} \cot\left( \frac{\pi}{2n}\right)"> is shown to be an upper bound on the width of any <i>n</i>-sided p...

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In this paper, the problem of stability and stabilization of Markov jumping singular systems with discontinuities and saturating inputs is addressed. The de...

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Many proposals have been made recently for goodness-of-fit testing of copula models. After reviewing them briefly, the authors concentrate on omnibus proced...

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We present a review of several column generation formulations for the Routing and Wavelength Assignment (RWA) problem with the objective of minimizing the b...

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We use a stylized gas system to study the use of access-to-gas storage in a seasonal model. In a duopoly setting, we find that welfare is higher under vert...

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The vehicle routing problem with time windows consists of delivering goods at minimum cost to a set of customers using an unlimited number of capacitated ve...

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In [<i>SIAM J. Optim.</i>, 17 (2006), pp. 188–217] Audet and Dennis proposed the class of <i>mesh adaptive direct search algorithms</i> (MADS) for minimizat...

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This paper addresses the structural optimization of a next generation optical, lattice based, yottabit-per-second transport network topology, called the <i>...

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In this survey, a classification of twenty-seven Asymmetric Traveling Salesman Problem (ATSP) formulations is presented. The strength of their LP relaxation...

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This paper argues that the literature applying differential games in economics and management science has aimed to a large extent for analytical results. On...

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We consider stochastic dynamic games in large population conditions where multiclass agents are weakly coupled via their individual dynamics and costs. We a...

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Let &nbsp;<img src="/cgi-bin/mimetex.cgi?G=(V,E)">&nbsp; be a simple graph with vertex degrees &nbsp;<img src="/cgi-bin/mimetex.cgi?d1, d2, \ldots, d_n...

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The problem retained for the ROADEF’99 international challenge was an inventory management problem for a car rental company. It consists in managing a given...

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Besides speed and period length, the quality of uniform random number generators is usually assessed by measuring the uniformity of their point sets, formed...

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The fastest long-period random number generators currently available are based on linear recurrences modulo 2. So far, software that provides multiple disjo...

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Importance sampling (IS) is the primary technique for constructing reliable estimators in the context of rare-event simulation. The asymptotic robustness of...

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We introduce and study a randomized quasi-Monte Carlo method for estimating the state distribution at each step of a Markov chain. The number of steps in th...

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Given a simple connected graph <i>G = (V,E)</i> the geodetic closure <i>I&nbsp;[S]</i> <img src="/cgi-bin/mimetex.cgi?\subset"> <i>V</i> of a subset <i>S</i...

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Let &nbsp;<img src="/cgi-bin/mimetex.cgi?G=(V,E)"> be a simple graph with &nbsp;<img src="/cgi-bin/mimetex.cgi?n=|V|"> vertices and &nbsp;<img src="/cgi-bin/...

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In this paper, we develop an efficient algorithm to price options under discrete time GARCH processes. We propose a procedure based on dynamic programming c...

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This paper addresses the problem of determining the daily operating policy of a reservoir over a one-year period that satisfies conflicting objectives regar...

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This paper presents a new method for the probabilistic logic satisfiability problem, based on the variable neighborhood search metaheuristic. The solution s...

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This paper considers the swapping problem on a tree. In this problem at most one object of some type is available at each vertex, and each vertex also reque...

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We study the problem of routing and wavelength assignment (RWA) in a WDM optical network under different hop assumptions, i.e., with and without wavelength ...

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Using Clark-Ocone formula, explicit martingale representations for path-dependent Brownian functionals are computed. As direct consequences, explicit martin...

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We discuss feature selection approaches within the context of linear programming models for discrimination, with special emphasis on a new interpretation an...

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Convolutional Self-Doubly Orthogonal Codes (CSO<sup>2</sup>C) have been introduced in 1998 by Haccoun et al. as a novel class of convolutional codes which c...

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In this paper, we consider the estimation of quantiles using the calibration paradigm. The proposed methodology relies on an approach similar to the one lea...

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We suggest new heuristic for solving unconstrained continuous optimization problems. It is based on generalized version of the variable neighborhood search m...

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We propose a game-theoretic model involving the manufacturer of a national brand and a retailer selling her private label along with the national brand. The...

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Dans un contexte de gestion journalière, on dispose le plus souvent d’une prévision météorologique déterministe pour calculer les apports futurs probables a...

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We present an exact algorithm for solving the channel assignment problem in cellular telephony networks. This problem consists of assigning sets of channels...

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A weighted spatial median is proposed for the multivariate location problem with cluster correlated data. Its limiting distribution is derived under mild co...

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This paper presents the design and dimensioning optimization of a novel optical network structure, called the PetaWeb, having a total capacity of several Pb...

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Winter road maintenance planning involves a variety of decision-making problems related to the routing of vehicles for spreading chemicals and abrasives, fo...

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In this paper we consider the constant rank unconstrained quadratic 0-1 optimization problem, CR-QP01 for short. This problem consists in minimizing the qua...

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Winter road maintenance operations involve a host of decision-making problems at the strategic, tactical, operational, and real-time levels. Those operation...

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We consider a dynamic marketing channel involving one manufacturer and one retailer. The strategic variables of the former are the wholesale price and the a...

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<p>The paper considers a problem of how to minimize advertising costs to sell seats for a particular event, for instance, a sports game, a rock concert or a...

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We develop a test of equality between two dependence structures estimated through empirical copulas. We provide inference for independent or paired samples....

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The multidimensional scaling (MDS) aims at finding coordinates for a set of <i>n</i> objects in a (low) <i>q</i> dimensional space that best fits dissimilar...

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This paper deals with the problem of determining optimal reservoir daily operating policy over a one-year period. This problem is stochastic since the daily...

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This paper proposes new tests of randomness for innovations of a large class of time series models. These tests are based on functionals of empirical proces...

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Colour image quantization is a data compression technique that reduces the total set of colours in an image to a representative subset. This problem is expr...

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Using the AutoGraphiX 2 system (AGX2), we study relations between graph invariants of the form <img src="/cgi-bin/mimetex.cgi?lbn \leq R \oplus i \leq ub...

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The AutoGraphiX research program led to a new type of application of metaheuristics in graph theory, <i>i.e.</i>, finding conjectures on graph invariants by...

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We investigate the common practice of estimating the dependence structure between CDS prices on multi-name credit instruments by the dependence structure of ...

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In the integrated aircraft routing, crew scheduling and flight retiming problem, a minimum-cost set of aircraft routes and crew pairings must be constructed...

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We consider the problem of separating two sets of points in an Euclidean space with a hyperplane that minimizes the sum of <i>L<sub>p</sub></i>-norm distanc...

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In this paper, we study the problem of determining the capacity requirements for applications that require QoS guarantees. We consider three kinds of source ...

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The Cox proportional hazards model has become the model of choice to use in analyzing the effects of covariates on survival data. However, this assumption ha...

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In this paper, we consider scheduling problems on a single machine in a sequence dependent setup environment. We introduce for these problems several integer...

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We consider the problem of orienting the edges of a graph so that the length of a longest path in the resulting digraph is minimum. As shown by Gallai, Roy ...

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We propose a general setting for pricing single-name knock-out credit derivatives. Examples include Credit Default Swaps (CDS), European and Bermudan CDS op...

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Past studies have shown the unstability of unstructured peer-to-peer networks, in particular Gnutella. Because of this unstability, queries in these network...

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<p> We consider an infinite-horizon differential game played by two direct marketers. Each player controls the number of emails sent to potential customers...

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This paper shows that the important result obtained in a static marketing channel, namely, that the manufacturer can coordinate the channel through a two-pa...

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In this paper, we model a two-period electricity market with interrelated demand, where oligopolistic generators make investments in peak- and base-load capa...

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We consider two overlapping generations that want to coordinate their strategies of working, consuming and controlling pollution. As the cooperative solution...

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We consider test statistics for autoregressive conditional heteroskedasticity (ARCH) in the residuals from a possibly nonlinear and dynamic multivariate regr...

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Given buses of different types arriving at a depot during the evening, the bus parking problem consists of assigning these buses to parking slots in such a w...

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This work shows how disjunctive cuts can be generated for a bilevel linear programming problem (<i>BLP</i>) with continuous variables. First, a brief summar...

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We consider the problem of locating a circle with respect to existing facilities on the plane, such that the largest weighted distance between the circle and...

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We address a multi-objective version of the car sequencing problem, which consists in sequencing a given set of cars to be produced in a single day, minimizi...

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This paper considers large shift scheduling problems with different shift start times and lengths, fractionable breaks and work stretch duration restrictions...

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Let <img src="/cgi-bin/mimetex.cgi?G = (V,E,w)"> be a graph with vertex and edge sets <img src="/cgi-bin/mimetex.cgi?V"> and <img src="/cgi-bin/mimetex.cgi?E...

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